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Household consumption, investment and life insurance

This paper develops a continuous-time Markov model for utility optimization of households. The household optimizes expected future utility from consumption by controlling consumption, investments and purchase of life insurance for each person in the household. The optimal controls are investigated in the special case of a two-person household, and we present graphics illustrating how differences between the two persons affect the controls.
Year of publication:
2011
Authors: Bruhn, Kenneth ; Steffensen, Mogens
Published in:
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 48.2011, 3, p. 315-325
Publisher: Elsevier
Keywords: Personal finance Household finance Multi-state model Stochastic control Power utility
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008865432
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